lecture18: Information Theory and the Stock Market

Topics covered

• Stock Market
• Some Definitions
• Optimising Growth Rate
• Shannon's Volatility Pumping
• CRP vs.~Buy and Hold
• Karush-Kuhn-Tucker Characterisation
• Wrong Belief
• Side Information
• Causality
• Background
• Finite Horizon
• Finite Horizon: Big Picture
• Finite Horizon: Construction
• Finite Horizon: Construction II
• Finite Horizon: Sequential
• Horizon-Free
• Caveats